Flow properties of differential equations driven by fractional brownian motion

Laurent Decreusefond; David Nualart

doi:10.1142/9789812770639_0009

Flow properties of differential equations driven by fractional brownian motion

Laurent Decreusefond
, David Nualart

University of Kansas

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

We prove that solutions of stochastic differential equations driven by fractional Brownian motion for H > 1=2 define flows of homeomorphisms on R^d.

Original language	English
Title of host publication	Stochastic Differential Equations
Subtitle of host publication	Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii
Publisher	World Scientific Publishing Co.
Pages	249-262
Number of pages	14
ISBN (Electronic)	9789812770639
DOIs	https://doi.org/10.1142/9789812770639_0009
Publication status	Published - 1 Jan 2007

Access to Document

10.1142/9789812770639_0009

Cite this

@inbook{996d0a8f238f497eb8fe519c3899e569,

title = "Flow properties of differential equations driven by fractional brownian motion",

abstract = "We prove that solutions of stochastic differential equations driven by fractional Brownian motion for H > 1=2 define flows of homeomorphisms on Rd.",

author = "Laurent Decreusefond and David Nualart",

note = "Publisher Copyright: {\textcopyright} 2007 by World Scientific Publishing Co. Pte. Ltd.",

year = "2007",

month = jan,

day = "1",

doi = "10.1142/9789812770639\_0009",

language = "English",

pages = "249--262",

booktitle = "Stochastic Differential Equations",

publisher = "World Scientific Publishing Co.",

}

Flow properties of differential equations driven by fractional brownian motion. / Decreusefond, Laurent; Nualart, David.
Stochastic Differential Equations: Theory And Applications - A Volume In Honor Of Professor Boris L Rozovskii. World Scientific Publishing Co., 2007. p. 249-262.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - Flow properties of differential equations driven by fractional brownian motion

AU - Decreusefond, Laurent

AU - Nualart, David

PY - 2007/1/1

Y1 - 2007/1/1

N2 - We prove that solutions of stochastic differential equations driven by fractional Brownian motion for H > 1=2 define flows of homeomorphisms on Rd.

AB - We prove that solutions of stochastic differential equations driven by fractional Brownian motion for H > 1=2 define flows of homeomorphisms on Rd.

U2 - 10.1142/9789812770639_0009

DO - 10.1142/9789812770639_0009

M3 - Chapter

AN - SCOPUS:77955845466

SP - 249

EP - 262

BT - Stochastic Differential Equations

PB - World Scientific Publishing Co.

ER -

Flow properties of differential equations driven by fractional brownian motion

Abstract

Access to Document

Fingerprint

Cite this